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Mathematics and Computers in Simulation
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Mathematics and Computers in Simulation
Article . 2011 . Peer-reviewed
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Research Papers in Economics
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Bias-corrected realized variance under dependent microstructure noise

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Mar 2011 English Publisher:Elsevier BVJournal:Mathematics and Computers in Simulation, volume 81, pages 1,290-1,298 (issn: 0378-4754, Copyright policy )
Authors: Kosuke Oya;

doi: 10.1016/j.matcom.2010.04.017

Bias-corrected realized variance under dependent microstructure noise

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

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Keywords

Applications of statistics to actuarial sciences and financial mathematics, two time scales, Monte Carlo methods, Applications of statistics to economics, Realized variance; Dependent microstructure noise; Two-time scales, Statistical methods; risk measures, jel: jel:C51, jel: jel:C01, jel: jel:C13

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    selected citations
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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 4
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Average
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Average
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
4
Average
Average
Average
bronze